An empirical examination of basic valuation models for plain vanilla U.S. interest rate swaps
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- Larry D. Wall & John J. Pringle, 1988. "Interest rate swaps: a review of the issues," Economic Review, Federal Reserve Bank of Atlanta, issue Nov, pages 22-40.
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- Litzenberger, Robert H, 1992. " Swaps: Plain and Fanciful," Journal of Finance, American Finance Association, vol. 47(3), pages 831-850, July.
- Barone-Adesi, Giovanni & Whaley, Robert E, 1987. " Efficient Analytic Approximation of American Option Values," Journal of Finance, American Finance Association, vol. 42(2), pages 301-320, June.
- Fama, Eugene F. & French, Kenneth R., 1989. "Business conditions and expected returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 25(1), pages 23-49, November.
- Sundaresan, S., 1989. "Valuation Of Swaps," Papers 183, Columbia - Center for Futures Markets.
- Anatoli Kuprianov, 1994. "The role of interest rate swaps in corporate finance," Economic Quarterly, Federal Reserve Bank of Richmond, issue Sum, pages 49-68.
- Breusch, T S & Pagan, A R, 1979. "A Simple Test for Heteroscedasticity and Random Coefficient Variation," Econometrica, Econometric Society, vol. 47(5), pages 1287-1294, September.
- Beach, Charles M & MacKinnon, James G, 1978. "A Maximum Likelihood Procedure for Regression with Autocorrelated Errors," Econometrica, Econometric Society, vol. 46(1), pages 51-58, January.
- Sun, Tong-sheng & Sundaresan, Suresh & Wang, Ching, 1993. "Interest rate swaps: An empirical investigation," Journal of Financial Economics, Elsevier, vol. 34(1), pages 77-99, August.
- Duffie, Darrell & Huang, Ming, 1996. " Swap Rates and Credit Quality," Journal of Finance, American Finance Association, vol. 51(3), pages 921-949, July.
- Sundaresan, S., 1989. "Valuation Of Swaps," Papers fb-_89-15, Columbia - Graduate School of Business.
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